Jane Street: Safe at any Speed

Jane Street has been writing production software in OCaml, a functional language, for over a decade with billions of dollars worth of financial transactions flow through our functions and modules every day.

This talk is about a fast, safe and readable packet-processing system – How can we get all three? At Jane Street, we've been building systems to trade electronically for over a decade. As technology advances and the scale of the markets grows, we need our systems to be able to process ever growing amounts of data in ever shorter time windows. In this talk, we're going to explore how to build a highly optimized single-core packet processing system that is capable of processing millions of messages per second. We will see how to bridge the gap between the high-level abstractions we've come to love when structuring code, and efficient machine-level execution necessary to process messages at line-rate.